50% VT 50% Cash

Portfolio Specification

Assets

VANGUARD TOTAL WORLD STOCK INDEX FUND ETF SHARES (VT) 50.00%
SPDR Bloomberg 1-3 Month T-Bill ETF (BIL) 50.00%

Policy

Rebalancing Interval Annually
Weights Algorithm Constant Weights

Benchmark

SPDR S&P 500 ETF Trust (SPY)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (17y 9m)

Returns (annualized)

Portfolio 5.02%
Benchmark 11.48%

Risk (annualized)

Portfolio 9.67%
Benchmark 19.87%

Sharpe (annualized)

Portfolio 0.42
Benchmark 0.58

Excess Return (annualized)

-6.46%

Tracking Error (annualized)

11.18%

Information Ratio

-0.58
Statistic Portfolio Benchmark
Downside Volatility 10.40% 21.09%
Sortino Ratio 0.39 0.55
Calmar Ratio 0.15 0.24
Ulcer Index 15.38 15.03
Max Drawdown 26.99% 47.17%
VaR (99% Confidence) $-2,250 $-4,620
VaR (99.9% Confidence) $-2,989 $-6,138
Beta to Benchmark 0.46 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

8.69

Skew

-0.47
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.4937 0.9831 -0.4894
Size Factor 0.0201 -0.0582 0.0783
Style Factor 0.0062 0.0128 -0.0066
U.S. Tilt (Non U.S.) 0.0076 0.3968 -0.3893

Adjusted R2

Portfolio 0.96
Benchmark 0.97

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution